Archive for Nassim Taleb

falling asleep in/on the bed of Procrustes

Posted in Books with tags , , , , , , , on November 11, 2012 by xi'an

Frankly, I must admit I bought this new book of Nassim Nicholas Taleb out of sheer perversity, as I am quite prejudiced against the author’s stance as a cynic (in the philosophical sense), delivering drops of antique wisdom to the modern World from his ivory tower… Having made a living from the financial system he despises so much. The description of himself “as a flâneur, meditating in cafés across the planet” found on the flip-cover of the book did nothing to decrease this prejudice. (Nor did the fact that the editors thought relevant to quote the magazine GQ in support of the book!)

The book is a collection of aphorisms on themes dear to Taleb like randomness, religion, capitalism, culture, media, love… At 100 pages of roughly 4 aphorisms per page, this makes the cost of an aphorism in the bed of Procrustes a par with the one of a fortune cookie, with the difference that you can at least eat the cookie if the message does not suit you. (Hence an easy pun on cheap philosophy sold dear.) Indeed, the art of the aphorism is a subtle one and very few can reach the depth of Pascal, Nietzsche, or Cioran…  I do not think Taleb comes any near this level: his aphorisms fall flat and dead, having none of the impact that could drive one’s life or even one’s current day-life. Take for instance “There is no intermediate state between ice and water but there is one between life and death: employment” (p.8). What does this sentence convey? That being employed by a company, which is the case for most of our contemporaries, is a semi-death. Or a form of modern slavery. (There are other aphorisms with the same underlying idea.) Great: Now what should we do about it?! Turn all people into self-entrepreneurs?! Tag employees as suckers and members of the lower class or cast and despise them from our lofty ivory tower or a trendy boulevard Saint-Germain café?! Take again “Marriage is the institutional process of feminizing men—and feminizing women“. Even though I presume this pearl of wisdom considers solely heterosexual marriage, I have serious trouble understanding what this means and in which sense this is a criticism of marriage… Does this imply we should switch to the more macho tradition of bride rapts?! (Again, there are other aphorisms with similar sexist undertones, e.g. p.38,  p.95, p.99 or p.103.) I could go on like that for almost every entry in the book…

Hence this unsubtle title to the post: while I realise how dangerous it is to fall asleep in Procrustes’ bed, I sort of fell asleep on the bed of Procrustes, at least figuratively!  I (again) see no point in this collection of aphorisms as they only serve to illustrate both the huge ego of the author and his aristocratic views on life and society. And to surf on the editorial success of the Black Swan and Fooled by Randomness. In conclusion, I got just what I was looking for! However, I see no point in recommending a book where the author scorns with “polite disdain” at least 99% of his contemporaries…

Prix Le Monde Jeune Economiste 2011

Posted in Books, University life with tags , , , , on May 29, 2011 by xi'an

Each year, Le Monde nominates a French economist for its Jeune Economiste Prize. The past winners are

(Some of those recipients are or were researchers at CREST. And Elyès is my colleague in Paris-Dauphine. When he is not minister in Tunisia!) The 2011 winner is Xavier Gabaix, who is professor of economics at NUY. I know nothing of his research and of its impact on Economics, nor do I want to to criticise the 2011 prize in any respect, however in a fairly bland and uninformative interview with Le Monde, Xavier Gabaix focused on the Zipf laws (connected with the Benford law I mentioned a while ago about the Iranian elections):

Pour la théorie économique classique, les phénomènes économiques se distribuent selon une courbe de Gauss (en cloche), et la modélisation raisonne généralement à partir de moyennes, d’agrégats. Or, la recherche a montré que, dans des domaines très variés, la distribution des objets, par exemple par rang de taille pour les villes ou par fréquence d’occurrence pour les mots d’un texte, obéit à des lois mathématiques comme les lois de Zipf, du nom du linguiste qui les a mises en évidence. Dans un article de Nature paru en 2003 et écrit avec des physiciens, j’ai montré que la fréquence des baisses boursières atteignant certains seuils (10 %, 20 %, 30 %) obéissait à la même loi mathématique que la fréquence des séismes… L’observation du volume de transactions boursières, de la taille des firmes, des évolutions de la croissance, permet également de déceler de telles lois de distribution.

which google-translates as

In classical economic theory, economic phenomena are distributed according to a Gaussian (bell) distribution, and modeling reasons usually based on averages and aggregates. However, research has shown that in various fields, the distribution of objects, for example in the size ranks of cities or in the frequency of occurrence of words in a text, obeys mathematical laws such as the Zipf laws, named after the linguist who has identified them. In a Nature paper published in 2003 and written with physicists, I showed that the frequency of stock market declines reaching certain thresholds (10%, 20%, 30%) obey the same mathematical law as the frequency of earthquakes .. . The observation of the volume of stock transactions, the size of firms, changes in growth, can also identify such distributions.

This somehow reminds me of the criticisms on the normal/Gaussian distribution in Nassim Taleb’s (outrageous) Black Swan. I would think the same type of criticism applies here: The interview mentions the fact that a few actors have a considerable impact on financial markets. This kind of observation applies to  an extreme value phenomenon. hence a particularly-difficult-to-estimate statistical problem. Especially given the lack of stationarity on those financial markets…